ZoneAlarm: (freeware) I like this firewall for it's ease of use. It has a very user-friendly interface, and the logging and reporting are both very good. I like its ability to engage its "lock" either on your command or on a timer. Another nice feature of its lock is that you can tell it to let some programs through it. So if you wanted to cut yourself off, but still leave your website up, ZoneAlarm would let you do that. I also like the fact that it can give you details on the activity that it has blocked. It can also alert you when it has blocked activity by either displaying a pop-up, or flashing its icon in the system tray. This firewall is generally best for beginners, or somebody who doesn't feel like taking the time to configure a firewall. You can get this firewall (for Windows) here.
Tiny: (freeware) I like this firewall for its controllability. Unlike ZoneAlarm, Tiny can set rules based on port, protocol, remote address, program, and the direction of the traffic. ZoneAlarm only sets rules by program, unless you get ZoneAlarm Pro. It is also supposedly more secure than ZoneAlarm and BlackICE, but I have never confirmed that. Unlike ZoneAlarm, Tiny will not alert you when you receive an attack, but it can still log the activity it filters. I like the fact that it is always the first application to start (at least on my machine), so there is little chance of some traffic slipping past while the machine is booting up. The only downside (besdes no alerts) is that its interface isn't
newbie-friendly. This firewall is generally best for intermediate to advanced users, or those who need more control than ZoneAlarm can offer. If you're interested, you can download Tiny (for Windows) here.
BlackICE: This firewall is basically the best of both Tiny and ZoneAlarm. Its rule-setting is wonderful. For beginners, there are four basic settings; trusting, cautious, nervous, and paranoid. That's all. For extra control, its advanced rule-setting is much like Tiny's. When you're attacked, it can sound an audible alert, and logs the activity, and will display the attack for you, categorized by severity. If you want, it will let you block the attacker for a set amount of time, or forever. It can alse give you detailed information on the attack, and whether or not it's worth fussing over. I have heard that it doesn't block the Sub 7 trojan, but have not confirmed that, so separate trojan protection with this firewall wouldn't be a bad idea. Other than that, it's a magnificant firewall. You can learn more about BlackICE here.